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5. Mathematical analysis of algorithmic trading and limit order markets

Mathematical analysis of algorithmic trading and limit order markets

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：gswwg

【摘 要】

：

　　The availability of high frequency financial data opens up new arenas for the application of continuous time stochastic modeling and introduces new problems

【作 者】

：

Ludkovski Mike Leung Tim Gao Xuefeng 

【机 构】

：

UC Santa Barbara

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　The availability of high frequency financial data opens up new arenas for the application of continuous time stochastic modeling and introduces new problems.

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